Chemokines are proteins which induce chemotaxis, promote differentiation of immune cells, and cause tissue extravasation. Given these properties, their role in anti-tumor immune response in the cancer environment is of great interest. Although immunotherapy has shown clinical benefit for some cancer patients, other patients do not respond. One of the mechanisms of resistance to checkpoint inhibitors may be chemokine signaling. The CXCL9, -10, -11/CXCR3 axis regulates immune cell migration, differentiation, and activation, leading to tumor suppression (paracrine axis). However, there are some reports that show involvements of this axis in tumor growth and metastasis (autocrine axis). Thus, a better understanding of CXCL9, -10, -11/CXCR3 axis is necessary to develop effective cancer control. In this article, we summarize recent evidence regarding CXCL9, CXCL10, CXCL11/CXCR3 axis in the immune system and discuss their potential role in cancer treatment.